Procyclicality of credit rating systems: How to manage it

Tatiana Cesaroni

Journal of Economics and Business, 2015, vol. 82, issue C, 62-83

Abstract: The recent Eurozone financial crisis has highlighted the need for stable rating systems to assess banks’ portfolio risks abstracting from the current cyclical conditions.

Keywords: Procyclicality; Business cycle; Financial stability; PiT rating system; Long run probability default (search for similar items in EconPapers)
JEL-codes: C32 E32 G24 G32 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (7)

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Working Paper: Procyclicality of credit rating systems: how to manage it (2015)
Working Paper: Procyclicality of credit rating systems: how to manage it (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:82:y:2015:i:c:p:62-83

DOI: 10.1016/j.jeconbus.2015.09.001

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